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FAIR VALUE MEASUREMENTS (Tables)
 3 Months Ended
Mar. 31, 2024
Fair Value Disclosures [Abstract]  
Fair value option The following table presents the difference between the aggregate fair value and the aggregate unpaid principal balance of LHFS measured at fair value:
March 31, 2024December 31, 2023
(dollars in millions)Aggregate Fair ValueAggregate Unpaid PrincipalAggregate Fair Value Greater (Less) Than Aggregate Unpaid PrincipalAggregate Fair ValueAggregate Unpaid PrincipalAggregate Fair Value Greater (Less) Than Aggregate Unpaid Principal
Residential mortgage loans held for sale, at fair value
$437 $427 $10 $614 $593 $21 
Commercial and industrial, and commercial real estate loans held for sale, at fair value
68 74 (6)62 69 (7)
Assets and liabilities measured on recurring basis
The following table presents assets and liabilities measured at fair value, including gross derivative assets and liabilities, on a recurring basis at March 31, 2024:
(dollars in millions)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$26,122 $— $26,122 $— 
Collateralized loan obligations294 — 294 — 
State and political subdivisions1 — 1 — 
U.S. Treasury and other4,770 4,770 — — 
Total debt securities available for sale31,187 4,770 26,417 — 
Loans held for sale, at fair value:
Residential loans held for sale
437 — 437 — 
Commercial loans held for sale
68 — 68 — 
Total loans held for sale, at fair value
505 — 505 — 
Mortgage servicing rights1,564 — — 1,564 
Derivative assets:
Interest rate contracts481 — 481 — 
Foreign exchange contracts389 — 389 — 
Commodities contracts711 — 711 — 
TBA contracts2 — 2 — 
Other contracts8 — — 8 
Total derivative assets1,591 — 1,583 8 
Equity securities, at fair value(1)
118 118 — — 
Short-term investments
21 10 11 — 
Total assets$34,986 $4,898 $28,516 $1,572 
Derivative liabilities:
Interest rate contracts$1,316 $— $1,316 $— 
Foreign exchange contracts290 — 290 — 
Commodities contracts665 — 665 — 
TBA contracts5 — 5 — 
Other contracts— — — — 
Total derivative liabilities2,276 — 2,276 — 
Short-term borrowed funds
9 — 9 — 
Total liabilities$2,285 $— $2,285 $— 
(1) Excludes investments of $60 million included in other assets in the Consolidated Balance Sheets that are measured at fair value using the net asset value per share (or its equivalent) practical expedient. These investments include capital contributions to private investment funds and have unfunded capital commitments of $25 million at March 31, 2024, which may be called at any time during prescribed time periods. The credit exposure is generally limited to the carrying amount of investments made and unfunded capital commitments.
The following table presents assets and liabilities measured at fair value, including gross derivative assets and liabilities, on a recurring basis at December 31, 2023:
(dollars in millions)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$24,732 $— $24,732 $— 
Collateralized loan obligations664 — 664 — 
State and political subdivisions1 — 1 — 
U.S. Treasury and other4,380 4,380 — — 
Total debt securities available for sale29,777 4,380 25,397 — 
Loans held for sale, at fair value:
Residential loans held for sale
614 — 614 — 
Commercial loans held for sale
62 — 62 — 
Total loans held for sale, at fair value
676 — 676 — 
Mortgage servicing rights1,552 — — 1,552 
Derivative assets:
Interest rate contracts464 — 464 — 
Foreign exchange contracts434 — 434 — 
Commodities contracts685 — 685 — 
TBA contracts3 — 3 — 
Other contracts7 — — 7 
Total derivative assets1,593 — 1,586 7 
Equity securities, at fair value(1)
115 115 — — 
Total assets$33,713 $4,495 $27,659 $1,559 
Derivative liabilities:
Interest rate contracts$1,149 $— $1,149 $— 
Foreign exchange contracts378 — 378 — 
Commodities contracts640 — 640 — 
TBA contracts16 — 16 — 
Other contracts— — — — 
Total derivative liabilities2,183 — 2,183 — 
Total liabilities$2,183 $— $2,183 $— 
(1) Excludes investments of $58 million included in other assets in the Consolidated Balance Sheets that are measured at fair value using the net asset value per share (or its equivalent) practical expedient. These investments include capital contributions to private investment funds and have unfunded capital commitments of $28 million at December 31, 2023, which may be called at any time during prescribed time periods. The credit exposure is generally limited to the carrying amount of investments made and unfunded capital commitments.
Assets measured at fair value on recurring basis and classified as Level 3
The following tables present a roll forward of the balance sheet amounts for assets and liabilities measured at fair value on a recurring basis and classified as Level 3:
Three Months Ended March 31, 2024
(dollars in millions)Mortgage Servicing RightsOther Derivative Contracts
Beginning balance$1,552 $7 
Issuances18 13 
Settlements(1)
(46)(10)
Changes in fair value during the period recognized in earnings(2)
40 (2)
Ending balance$1,564 $8 
Three Months Ended March 31, 2023
(dollars in millions)Mortgage Servicing RightsOther Derivative Contracts
Beginning balance$1,530 $1 
Issuances21 15 
Settlements(1)
(41)(5)
Changes in fair value during the period recognized in earnings(2)
(14)2 
Ending balance$1,496 $13 
(1) For MSRs, represents changes in value of the MSRs due to i) passage of time including the impact from both regularly scheduled loan principal payments and partial paydowns, and ii) loans that paid off during the period. For other derivative contracts, represents the closeout of interest rate lock commitments.
(2) Represents changes in value primarily driven by market conditions. These changes are recorded in mortgage banking fees in the Consolidated Statements of Operations.
Fair value measurement inputs and valuation techniques
The following table presents quantitative information about significant unobservable inputs utilized to measure the fair value of Level 3 assets and liabilities.
As of March 31, 2024As of December 31, 2023
Financial Instrument
Valuation TechniqueUnobservable InputRange (Weighted Average)Range (Weighted Average)
Mortgage servicing rightsDiscounted Cash FlowConstant prepayment rate
5.76-17.58% CPR (6.96% CPR)
6.70-14.55% CPR (7.23% CPR)
Option adjusted spread
398-1,058 bps (632 bps)
398-1,058 bps (630 bps)
Other derivative contractsInternal ModelPull through rate
24.12-100.00% (76.07%)
24.90-99.70% (80.34%)
MSR value
7.20-153.60 bps (100.58 bps)
(8.90)-141.24 bps (88.04 bps)
Losses on assets and liabilities measured on a nonrecurring basis included in earnings
The following table presents losses on assets measured at fair value on a nonrecurring basis and recorded in earnings:
Three Months Ended March 31,
(dollars in millions)20242023
Collateral-dependent loans ($56)($4)
Fair value of assets and liabilities measured on a nonrecurring basis
The following table presents assets measured at fair value on a nonrecurring basis:
March 31, 2024December 31, 2023
(dollars in millions)TotalLevel 1Level 2Level 3TotalLevel 1Level 2Level 3
Collateral-dependent loans $881 $— $881 $— $789 $— $789 $— 
Assets and liabilities measured at fair value
The following tables present the estimated fair value for financial instruments not recorded at fair value in the Consolidated Financial Statements. The carrying amounts are recorded in the Consolidated Balance Sheets under the indicated captions:
March 31, 2024
TotalLevel 1Level 2Level 3
(dollars in millions)Carrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair Value
Financial assets:
Debt securities held to maturity$9,054 $8,132 $— $— $8,587 $7,682 $467 $450 
Other loans held for sale
50 50 — — — — 50 50 
Net loans and leases141,102 137,760 — — 881 881 140,221 136,879 
Other assets791 791 — — 768 768 23 23 
Financial liabilities:
Deposits176,428 176,162 — — 176,428 176,162 — — 
Short-term borrowed funds9 9 — — 9 9 — — 
Long-term borrowed funds13,804 13,421 — — 13,804 13,421 — — 
December 31, 2023
TotalLevel 1Level 2Level 3
(dollars in millions)Carrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair Value
Financial assets:
Debt securities held to maturity $9,184 $8,350 $— $— $8,696 $7,887 $488 $463 
Other loans held for sale
103 103 — — — — 103 103 
Net loans and leases143,861 140,504 — — 789 789 143,072 139,715 
Other assets869 869 — — 851 851 18 18 
Financial liabilities:
Deposits177,342 177,096 — — 177,342 177,096 — — 
Short-term borrowed funds505 505 — — 505 505 — — 
Long-term borrowed funds13,467 13,012 — — 13,467 13,012 — —